Interest Rate Derivatives
Calypso® Interest Rate Derivatives solution enables trading, risk management and processing of a broad range of products, from high volume plain vanilla swaps through to complex yield-enhancing exotic products. Calypso eXSP (eXotic Structured Products) enables on-the-fly creation and calibration of exotic instruments through user-defined structured legs which can be reused or modified as required. This innovative approach to structured product provides rapid time-to-market for a broad variety of instruments.
Calypso Interest Rate Derivatives solution includes dynamically configurable real-time cross-asset risk and hedging management at the portfolio level with full drill-down to individual positions and trades. Highly scalable to support high volume trading with an open architecture built on standard interfaces for connectivity to global platforms.
Another major innovation, HyperSurface, is a visual work surface that allows users to configure complex market data structures as needed for new models and products. This tool allows faster deployment of new products and models which depend on complex data structures such as term structure of correlation. HyperSurface’s flexible architecture makes it easy to add generators, interpolators, and availability to Calypso pricers and customer models through standard APIs.
Calypso also provides automated collateral management for OTC derivative trades and supports straight-through processing, accounting and compliance reporting for both vanilla and exotic interest rate derivatives across the whole trade lifecycle with its proven back office solution.